The size distortion of bootstrap tests

Econometric Theory

Volumn 15, Issue 3, 1999, Pages 361-376

  Davidson, Russell ^a,b   MacKinnon, James G ^b  

^a Centre National de la Recherche Scientifique   (France)

^b QUEEN S UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033440185     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466699153040     Document Type: Article

References (10)

1. Attfield, C.L.F. (1995) A Bartlett adjustment to the likelihood ratio test for a system of equations. Journal of Econometrics 66, 207-223.
2. Beran, R. (1986) Simulated power functions. Annals of Statistics 14, 151-173.
3. Beran, R. (1988) Prepivoting test statistics: A bootstrap view of asymptotic refinements. Journal of the American Statistical Association 83, 687-697.
4. Davidson, R. & J.G. MacKinnon (1987) Implicit alternatives and the local power of test statistics. Econometrica 55, 1305-1329.
5. Davidson, R. & J.G. MacKinnon (1999) Bootstrap testing in nonlinear models. International Economic Review 40, forthcoming.
6. Hall, P. (1992) The Bootstrap and Edgeworth Expansion. New York: Springer-Verlag.
7. Hall, P. & J.L. Horowitz (1996) Bootstrap critical values for tests based on generalized-method-of-moments estimators. Econometrica 64, 891-916.
8. Hall, P. & D.M. Titterington (1989) The effect of simulation order on level accuracy and power of Monte-Carlo tests. Journal of the Royal Statistical Society, Series B 51, 459-467.
9. Horowitz, J.L. (1994) Bootstrap-based critical values for the information matrix test. Journal of Econometrics 61, 395-411.
10. Rothenberg, T.J. (1984) Hypothesis testing in linear models when the error covariance matrix is nonscalar. Econometrica 52, 827-842.